While the above chart shows they’re not completely correlated, you can see that the larger moves in USDMXN spike along with the VIX, and then slowly bleed down as volatility dissipates. This is in contrast to other currency pairs which might trend for longer based on medium-term macroeconomic fundamentals.
It could arguably be called a spot volatility proxy, which Hugh Hendry believes to be a better hedge than buying volatility forward at a premium from institutional dealers: